Multivariate normal distribution

Generalization of the one-dimensional normal distribution to higher dimensions / From Wikipedia, the free encyclopedia

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In probability theory and statistics, the multivariate normal distribution, multivariate Gaussian distribution, or joint normal distribution is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions. One definition is that a random vector is said to be k-variate normally distributed if every linear combination of its k components has a univariate normal distribution. Its importance derives mainly from the multivariate central limit theorem. The multivariate normal distribution is often used to describe, at least approximately, any set of (possibly) correlated real-valued random variables each of which clusters around a mean value.

Quick facts: Notation, Parameters, Support, PDF, Mean...
Multivariate normal
Probability density function
MultivariateNormal.png
Many sample points from a multivariate normal distribution with and , shown along with the 3-sigma ellipse, the two marginal distributions, and the two 1-d histograms.
Notation
Parameters μRklocation
ΣRk × kcovariance (positive semi-definite matrix)
Support xμ + span(Σ) ⊆ Rk
PDF
exists only when Σ is positive-definite
Mean μ
Mode μ
Variance Σ
Entropy
MGF
CF
Kullback-Leibler divergence see below
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